OptionMetrics, the financial industry’s premier provider of accurate and complete historical options price data and analytics, today announced it is extending the licensing of its IvyDB Europe options database service to universities.

Launched in 2006, IvyDB Europe is the first academic quality database of historical price, implied volatility, and sensitivity information for the European listed index and equity options markets. The information in IvyDB Europe goes back to 2002. The structure of IvyDB Europe is similar to that of IvyDB – OptionMetrics’s core database which covers the US options markets. Designed to provide data of the highest obtainable quality, IvyDB Europe is suitable for empirical and/or econometric studies of the options markets; development and testing of option, derivatives, and equities trading strategies; and risk analysis and risk management.

The IvyDB product family is widely recognized for its accuracy and completeness. The data have been thoroughly reviewed to ensure they are clean of erroneous or anomalous values. The dataset contains all available historical information on specific underlying securities and their options, and is free of survivorship bias.

IvyDB Europe uses standard option pricing models for implied volatility and “greek” calculations. OptionMetrics has further enhanced its index dividend yield model and its dividend projection algorithm to account for irregular dividend payments in European markets. The database provides both settlement and traded prices that represent both the “accounting” and “trading” perspectives on option valuation.

IvyDB Europe Comes of Age

IvyDB Europe has been used by financial institutions and hedge funds for more than five years. Some 90 universities already subscribe to IvyDB and will now have the option to expand their research to the European markets.

“I have worked with the (IvyDB) data and I am very happy with the quality of the data,” said Martijn Cremers, Associate Professor of Finance at the Yale School of Management.

Commenting specifically on IvyDB Europe, Cremers said: “It’s an important step for researchers to study the European way of doing things. Having a new European database, hopefully, will increase our (school’s) ability to study markets and different environments at different stages of development from the IvyDB US.”

“From a researcher standpoint, IvyDB is an extremely valuable tool,” said Bryan Kelly, Assistant Professor of Finance at the University of Chicago’s Booth School of Business. “The US database helped us learn a lot about options markets and better understand risk in the US. Access to the European equivalent database will allow us to assess commonalities and differences in investor behavior across two Continents.”

“I use options data to understand investors’ perceptions of the (government) bailouts of the financial sector,” Kelly said, adding: “IvyDB Europe will boost my understanding of the underlying investment risks in European economies and markets and to track volatility in, say, the United Kingdom versus France, or France versus Spain,” Kelly said.

Kelly also said he relied on OptionsMetrics’s data because the information is… “So well organized.”

Discounted Price for Academics

OptionMetrics offers academic licenses for IvyDB at a significantly discounted rate to academic institutions. The academic version of the product is identical to the corporate version, except that it is updated yearly rather than nightly. Some of the academic research based on the IvyDB data can be found at optionmetrics.com/research.html.